The challenge level is all over the place. You can choose between three settings right from the start, so whatever floats your boat. In general though, on easy you won't die and on normal it isn't much different. Regardless of the difficulty though, some maps' design has more challenging conditions to not lose the game. I found chapter 4 quite annoying, because the map is pretty big, there are plenty of enemy reinforcements and the boss attacks the headquarters from afar; the HQ going down makes you lose and in that chapter it happens much more easily than in any other. Hero difficulty is unlocked after beating the game and enemies have like ten times more health than on hard. There is an increased chance for rare materials to be dropped by enemies, although I didn't benefit from that yet (only played one level).

Co-op play makes it much easier to gain control over maps. Working together while taking different paths gets more done in less time. Co-op is available in all game modes.

In Adventure mode the difficulty is preset and you are told how hard each challenge is roughly going to be. You pick a mission from the map and depending on your result (A, B or C rank) you unlock new territory. Adventure modes reuses the maps from story mode, sometimes reduced greatly in size. The missions differ in length; most of the time it's something that can be done in 5-10 minutes, but occasionally it's pretty close to what you find in story mode. It doesn't offer more gameplay variety. You can earn one-time use item cards from certain missions which you can use to discover secrets on the map, then you have to complete that mission to earn your prize. If you know the original The Legend of Zelda, then you don't need compass cards to tell you the exact location of the secret. If you are unfamiliar with it, you will have to farm such cards, because that's faster than farming other item cards and guessing the locations. The character restrictions on certain missions also force you to play story or free play mode, because being underleveled and without any good weapons makes it (near) impossible to win. In the end it's more of the same, but characters that came short in the story get more use here. Will take much longer to beat than the story.